The correct answer is you have to re-tell the TRS 2004 download helper to download the files. Luckily its rather simple.
Browse to the following folder in your trs2004 directory, path my very if you have it installed in non default location. I have mine in the default location.
C:\Program Files\Auran\TRS2004\Bin
Double click on the program Trainzhelper.exe. It will load a small program called Trainz Helper Configuration. At the top of the program window is a drop down menu for the different Trainz products you may have installed. It will pickup 2004, 2006 and possible UTC (can't confirm as I don't have UTC). From the menu make sure 2004 is selected. If you just have 2004 and TC3 installed like I have then the drop down menu is shaded out and should have TRS 2004 already selected. Hit save and the program will close. Now when you click on a link on the trs2004 DLS it should load up Trainz Download helper and download and install the item to your 2004 directory. If you load up CMP this will take over Trainz download links again. It maybe worth while to create a short cut to this program on your desktop so you can easily switch between downloading in CMP for TC3 and downloading for 2004.
Rob
